Markowitz and Black-Litterman models in portfolio optimization: a comparative analysis of static and dynamic strategies

Suarato, Vittorio (A.A. 2023/2024) Markowitz and Black-Litterman models in portfolio optimization: a comparative analysis of static and dynamic strategies. Tesi di Laurea in Asset pricing, Luiss Guido Carli, relatore Nicola Borri, pp. 62. [Master's Degree Thesis]

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Abstract/Index

Theoretical framework. Markowitz mean-variance model. Black–Litterman model. Empirical methodology. Data description. Model implementation. Backtesting framework. Results and discussion. Exploratory analysis with the full dataset. Backtesting: buy-and-hold strategy. Backtesting: rebalancing scenario.

References

Bibliografia: pp. 60-61.

Thesis Type: Master's Degree Thesis
Institution: Luiss Guido Carli
Degree Program: Master's Degree Programs > Master's Degree Program in Economics and Finance (LM-56)
Chair: Asset pricing
Thesis Supervisor: Borri, Nicola
Thesis Co-Supervisor: Marchisio, Valerio
Academic Year: 2023/2024
Session: Extraordinary
Deposited by: Alessandro Perfetti
Date Deposited: 08 Jul 2025 12:54
Last Modified: 08 Jul 2025 12:54
URI: https://tesi.luiss.it/id/eprint/42805

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